def test_swap_rate():
replace = Replacer()
mock_usd = Currency('MA890', 'USD')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs',
Mock())
xrefs.return_value = [
GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31),
XRef(bbid='USD', ))
]
identifiers = replace(
'gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'USD-3m': 'MA123'}
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_curr)
actual = tm.swap_rate(mock_usd, '1y')
assert_series_equal(
pd.Series([1, 2, 3], index=_index * 3, name='swapRate'), actual)
identifiers = replace(
'gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'USD OIS': 'MA123'}
actual = tm.swap_rate(mock_usd, '1y', BenchmarkType.OIS)
assert_series_equal(
pd.Series([1, 2, 3], index=_index * 3, name='swapRate'), actual)
mock_eur = Currency('MA890', 'EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs',
Mock())
xrefs.return_value = [
GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31),
XRef(bbid='EUR', ))
]
identifiers = replace(
'gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'EUR-6m': 'MA123'}
actual = tm.swap_rate(mock_eur, '1y')
assert_series_equal(
pd.Series([1, 2, 3], index=_index * 3, name='swapRate'), actual)
mock_sek = Currency('MA890', 'SEK')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs',
Mock())
xrefs.return_value = [
GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31),
XRef(bbid='SEK', ))
]
identifiers = replace(
'gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'SEK-6m': 'MA123'}
actual = tm.swap_rate(mock_sek, '1y')
assert_series_equal(
pd.Series([1, 2, 3], index=_index * 3, name='swapRate'), actual)
with pytest.raises(NotImplementedError):
tm.swap_rate(..., '1y', real_time=True)
replace.restore()
def test_swaption_vol():
replace = Replacer()
mock_usd = Currency('MA890', 'USD')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs',
Mock())
xrefs.return_value = [
GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31),
XRef(bbid='USD', ))
]
identifiers = replace(
'gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'USD-LIBOR-BBA': 'MA123'}
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data',
mock_curr)
actual = tm.swaption_vol(mock_usd, '3m', '1y', 0)
assert_series_equal(
pd.Series([1, 2, 3], index=_index * 3, name='swaptionVol'), actual)
actual = tm.swaption_vol(mock_usd, '3m', '1y', 50)
assert_series_equal(
pd.Series([1, 2, 3], index=_index * 3, name='swaptionVol'), actual)
actual = tm.swaption_vol(mock_usd, '3m', '1y', -50)
assert_series_equal(
pd.Series([1, 2, 3], index=_index * 3, name='swaptionVol'), actual)
with pytest.raises(NotImplementedError):
tm.swaption_vol(..., '3m', '1y', 50, real_time=True)
replace.restore()
def test_zc_inflation_swap_rate():
replace = Replacer()
mock_gbp = Currency('MA890', 'GBP')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='GBP', ))]
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'CPI-UKRPI': 'MA123'}
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_curr)
actual = tm.zc_inflation_swap_rate(mock_gbp, '1y')
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='inflationSwapRate'), actual)
with pytest.raises(NotImplementedError):
tm.zc_inflation_swap_rate(..., '1y', real_time=True)
replace.restore()
